Package com.opengamma.financial.convention.calendar

Examples of com.opengamma.financial.convention.calendar.MondayToFridayCalendar

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  private static void loadData() throws IOException, URISyntaxException {
    for (int i = 0; i < CALENDAR_FILES.length; i++) {
      final String path = RESOURCE_DIR + "/" + CALENDER_DIR + "/" + CALENDAR_FILES[i] + ".xml";
      final URI uri = ISDACalendars.class.getClassLoader().getResource(path).toURI();
      final ExceptionCalendar cal = new MondayToFridayCalendar(CALENDAR_FILES[i], uri.toURL().toString());
      s_calendars.put(CURRENCY[i], cal);
    }
  }
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    assertFalse("Bill Security Definition: equal-hash code", BILL_SEC_DEFINITION.equals(modified));
    modified = new BillSecurityDefinition(EUR, END_DATE, NOTIONAL + 10.0, SETTLEMENT_DAYS, CALENDAR, YIELD_CONVENTION, ACT360, ISSUER_BEL);
    assertFalse("Bill Security Definition: equal-hash code", BILL_SEC_DEFINITION.equals(modified));
    modified = new BillSecurityDefinition(EUR, END_DATE, NOTIONAL, SETTLEMENT_DAYS + 1, CALENDAR, YIELD_CONVENTION, ACT360, ISSUER_BEL);
    assertFalse("Bill Security Definition: equal-hash code", BILL_SEC_DEFINITION.equals(modified));
    modified = new BillSecurityDefinition(EUR, END_DATE, NOTIONAL, SETTLEMENT_DAYS, new MondayToFridayCalendar("OTHER"), YIELD_CONVENTION, ACT360, ISSUER_BEL);
    assertFalse("Bill Security Definition: equal-hash code", BILL_SEC_DEFINITION.equals(modified));
    modified = new BillSecurityDefinition(EUR, END_DATE, NOTIONAL, SETTLEMENT_DAYS, CALENDAR, YieldConventionFactory.INSTANCE.getYieldConvention("DISCOUNT"), ACT360, ISSUER_BEL);
    assertFalse("Bill Security Definition: equal-hash code", BILL_SEC_DEFINITION.equals(modified));
    modified = new BillSecurityDefinition(EUR, END_DATE, NOTIONAL, SETTLEMENT_DAYS, CALENDAR, YIELD_CONVENTION, DayCountFactory.INSTANCE.getDayCount("Actual/365"), ISSUER_BEL);
    assertFalse("Bill Security Definition: equal-hash code", BILL_SEC_DEFINITION.equals(modified));
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  @SuppressWarnings("deprecation")
  public TestResult runTestCase(final ISDATestGridRow testCase, final ISDACurve discountCurve) {

    final BusinessDayConvention businessDays = new FollowingBusinessDayConvention();
    final Calendar calendar = new MondayToFridayCalendar("TestCalendar");
    final Convention convention = new Convention(3, dayCount, businessDays, calendar, "");
    final TemporalAdjuster adjuster = businessDays.getTemporalAdjuster(calendar);

    final ZonedDateTime pricingDate = testCase.getTradeDate().atStartOfDay(ZoneOffset.UTC);
    final ZonedDateTime maturity = testCase.getMaturityDate().atStartOfDay(ZoneOffset.UTC);
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    final double spread = 0.01; /* 100bp */
    final double recoveryRate = 0.40;

    final Frequency couponFrequency = SimpleFrequency.QUARTERLY;

    final Calendar calendar = new MondayToFridayCalendar("TestCalendar");

    final DayCount dayCount = new ActualThreeSixty();
    final BusinessDayConvention businessDays = new FollowingBusinessDayConvention();
    final Convention convention = new Convention(settlementDays, dayCount, businessDays, calendar, "");

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  @Test
  /**
   * Test the future convexity adjustment factor v a hard-coded value.
   */
  public void futureConvexityFactor() {
    final Calendar calendar = new MondayToFridayCalendar("A");
    final ZonedDateTime SPOT_LAST_TRADING_DATE = DateUtils.getUTCDate(2012, 9, 19);
    final ZonedDateTime LAST_TRADING_DATE = ScheduleCalculator.getAdjustedDate(SPOT_LAST_TRADING_DATE, -EURIBOR3M.getSpotLag(), calendar);
    final double noitonal = 1000000.0; // 1m
    final double futuresAccrualFactor = 0.25;
    final double referencePrice = 0.99;
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    assertEquals("Generator Deposit: equal-hash", GENERATOR_DEPOSIT_ON_USD, duplicate);
    assertEquals("Generator Deposit: equal-hash", GENERATOR_DEPOSIT_ON_USD.hashCode(), duplicate.hashCode());
    GeneratorDepositON other;
    other = new GeneratorDepositON(NAME, Currency.EUR, CALENDAR, DAY_COUNT);
    assertFalse("Generator Deposit: equal-hash", GENERATOR_DEPOSIT_ON_USD.equals(other));
    other = new GeneratorDepositON(NAME, CUR, new MondayToFridayCalendar("B"), DAY_COUNT);
    assertFalse("Generator Deposit: equal-hash", GENERATOR_DEPOSIT_ON_USD.equals(other));
    other = new GeneratorDepositON(NAME, CUR, CALENDAR, DayCountFactory.INSTANCE.getDayCount("Actual/365"));
    assertFalse("Generator Deposit: equal-hash", GENERATOR_DEPOSIT_ON_USD.equals(other));
  }
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    final BusinessDayConvention modifiedBusinessDay = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    generatorModified = new GeneratorSwapFixedInflationZeroCoupon("generator", PRICE_INDEX_EUR, modifiedBusinessDay, CALENDAR, EOM, MONTH_LAG, SPOT_LAG,
        IS_LINEAR);
    assertFalse(GENERATOR_SWAP_INFLATION_LINEAR.equals(generatorModified));

    final Calendar modifiesCalendar = new MondayToFridayCalendar("B");
    generatorModified = new GeneratorSwapFixedInflationZeroCoupon("generator", PRICE_INDEX_EUR, BUSINESS_DAY, modifiesCalendar, EOM, MONTH_LAG, SPOT_LAG,
        IS_LINEAR);
    assertFalse(GENERATOR_SWAP_INFLATION_LINEAR.equals(generatorModified));

    generatorModified = new GeneratorSwapFixedInflationZeroCoupon("generator", PRICE_INDEX_EUR, BUSINESS_DAY, CALENDAR, false, MONTH_LAG, SPOT_LAG,
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  @Test
  public void testBondFixedSecurity() {
    final ZonedDateTime maturityDate = DateUtils.getUTCDate(2020, 1, 1);
    final ZonedDateTime firstAccrualDate = DateUtils.getUTCDate(2010, 1, 1);
    final Period paymentPeriod = Period.ofMonths(6);
    final Calendar calendar = new MondayToFridayCalendar("A");
    final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final BusinessDayConvention businessDay = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final YieldConvention yieldConvention = SimpleYieldConvention.TRUE;
    final ZonedDateTime date = DateUtils.getUTCDate(2011, 1, 1);
    final BondFixedSecurity b1 = BondFixedSecurityDefinition.from(CUR, maturityDate, firstAccrualDate, paymentPeriod, R1, 0, calendar, dayCount, businessDay, yieldConvention, false, "I").toDerivative(date);
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    assertEquals("Generator Deposit: equal-hash", GENERATOR_DEPOSIT_USD, duplicate);
    assertEquals("Generator Deposit: equal-hash", GENERATOR_DEPOSIT_USD.hashCode(), duplicate.hashCode());
    GeneratorDeposit other;
    other = new GeneratorDeposit(NAME, Currency.EUR, CALENDAR, SETTLEMENT_DAYS, DAY_COUNT, BUSINESS_DAY, IS_EOM);
    assertFalse("Generator Deposit: equal-hash", GENERATOR_DEPOSIT_USD.equals(other));
    other = new GeneratorDeposit(NAME, CUR, new MondayToFridayCalendar("B"), SETTLEMENT_DAYS, DAY_COUNT, BUSINESS_DAY, IS_EOM);
    assertFalse("Generator Deposit: equal-hash", GENERATOR_DEPOSIT_USD.equals(other));
    other = new GeneratorDeposit(NAME, CUR, CALENDAR, 1, DAY_COUNT, BUSINESS_DAY, IS_EOM);
    assertFalse("Generator Deposit: equal-hash", GENERATOR_DEPOSIT_USD.equals(other));
    other = new GeneratorDeposit(NAME, CUR, CALENDAR, SETTLEMENT_DAYS, DayCountFactory.INSTANCE.getDayCount("Actual/365"), BUSINESS_DAY, IS_EOM);
    assertFalse("Generator Deposit: equal-hash", GENERATOR_DEPOSIT_USD.equals(other));
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    final ZonedDateTime maturity = zdt(2013, 3, 20, 0, 0, 0, 0, ZoneOffset.UTC);
    final int settlementDays = 3;
    final double notional = 10000000, spread = 0.01 /* 100bp */, recoveryRate = 0.4;

    final Frequency couponFrequency = SimpleFrequency.QUARTERLY;
    final Calendar calendar = new MondayToFridayCalendar("TestCalendar");
    final DayCount dayCount = new ActualThreeSixty();
    final BusinessDayConvention businessDays = new FollowingBusinessDayConvention();
    final Convention convention = new Convention(settlementDays, dayCount, businessDays, calendar, "");
    final StubType stubType = StubType.SHORT_START;

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Related Classes of com.opengamma.financial.convention.calendar.MondayToFridayCalendar

  • com.opengamma.analytics.financial.credit.cds.ISDAApproxCDSPricingMethodTestData
  • com.opengamma.analytics.financial.credit.cds.ISDACalendars
  • com.opengamma.analytics.financial.credit.cds.ISDAModelTest
  • com.opengamma.analytics.financial.credit.cds.ISDATestGridHarness
  • com.opengamma.analytics.financial.instrument.bond.BillSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.index.GeneratorDepositONTest
  • com.opengamma.analytics.financial.instrument.index.GeneratorDepositTest
  • com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedInflationTest
  • com.opengamma.analytics.financial.interestrate.RateReplacingInterestRateDerivativeVisitorTest
  • com.opengamma.analytics.financial.interestrate.RateReplacingVisitorTest
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